کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077102 | 1374117 | 2009 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal reinsurance with general risk measures
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper studies the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal essentially, regardless of the risk measure used. The paper ends by particularizing the findings, so as to study in detail two deviation measures and the conditional value at risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 3, June 2009, Pages 374-384
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 3, June 2009, Pages 374-384
نویسندگان
Alejandro Balbás, Beatriz Balbás, Antonio Heras,